Over at Elthos RPG, they ran a blog carnival on the subject of GMing for a ship of fools, or moments where the characters did something so stupid, that the game ended. This is my most memorable incident, from my GMing career.
It was a D&D one-shot (of 9 hours), with my players being 3rd level characters (paladin, cleric, wizard, rouge and a barbarian). They were guests of the Paladin's father, in a little village. During the first night of the session, a werewolf attacked, killing one of the villagers. The mayor came to the party, as the only adventuring party in the village, and the party agreed to his terms, promising to help clean the village from the werewolf.
They started to investigate, meeting all the village people, talking with them, trying to get some information. During the days, they investigated, and during the nights they were on the walls (a wooden one, of course...), watching to see where the werewolf comes from, looking to ambush him if he comes.
A few days passed, and the werewolf attacked, they missed him, coming when he was running away, finding a little girl killed, her body torn apart. They swore they would kill him, but they did no other action, but returned to the wall.
They continued to investigate, following the footprints all the way to the nearby forest, where the prints disappeared, and returned to the village. The streets at this time were very empty, shops being close, pubs managing with a smaller crew, and a lot less of buyers.
After a few nights, and a lot of info that they got, they finally met the werewolf. They tried to stop him, but he defeated them, and then disappeared in the shadows, and they were there, all beaten up and losing.
The following day, they came back to the mayor, and asked for a higher payment. The mayor said no, and the barbarian killed him. I looked at him, my eyes widening with shock, and then he just said: "What? That's just what a barbarian will do. I need money, no pay- I kill him."
The village of course wasn't sure of what to do after it. Some were angry, 'cause he was a good mayor, and he did his best in solving this problem. Some agreed with the party, saying that if they killed him, the reason was probably right, like maybe he holed them or something. All of them, agreed though, that the problem hasn't been solved, too long of a time has passed, and they released the characters from their service. The game ended with that. A long time passed before I GMed for them again.